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PJM Electricity Option on Calendar Futures Strip Options
Type
| PJM Electricity Option on Calendar Futures Strip | |||||
|---|---|---|---|---|---|
| Underlying Futures | PJM Western Hub Real-Time Peak Calendar-Month 2.5 MW Futures (JM) | ||||
| Product Symbol | CME Globex: A6O CME Clearing: 6O |
||||
| Venue | CME Globex, CME ClearPort, Open Outcry (New York) | ||||
| Hours (All Times are New York Time/ET) |
CME Globex: | Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT) | |||
| CME ClearPort: | Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT) | ||||
| Open Outcry: | Monday – Friday 9:00 AM to 2:30 PM (8:00 AM to 1:30 PM CT) | ||||
| Contract Unit | 12 consecutive underlying futures, (January through December). | ||||
| Price Quotation | U.S. dollars and cents per MWh. | ||||
| Option Style | European (Exercise only on Expiration) | ||||
| Minimum Fluctuation | $0.01 per MWh | ||||
| Expiration of Trading | 2nd to last Friday of the month prior to the delivery month of the first underlying month of the PJM Peak Calendar-Month LMP Swap Futures in the strip. | ||||
| Listed Contracts | Nearest 5 calendar years | ||||
| Strike Prices | Twenty strike prices in increments of $0.50 per MWh above and below the at-the-money strike price, for a total of at least 41 strike prices. Strike price boundaries are adjusted according to price movements of underlying futures contract. | ||||
| Settlement Type | Exercise into Futures | ||||
| Position Limits | NYMEX Position Limits | ||||
| Rulebook Chapter | 354 | ||||
| Exchange Rule | These contracts are listed with, and subject to, the rules and regulations of NYMEX. | ||||
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